Q: I am interested in the ADX technical indicator & have been trying to develop a simple a system based on ADX signals only.
I am testing the system on Bund Futures prices.
I am using ADX14 and so I need 14 historic prices to calculate the ADX14 for today.
But with Bund Futures, a contract expires in Mar, Jun, Sep & Dec. So when I have an indicator based on the Sep Bund futures, I am using the Sep future prices, but on the 8th Sep it stopped trading and Dec future gained momentum. There was a significant difference between the Sep & the Dec futures prices.
The ADX indicator now uses the new Dec futures prices & the old Sep futures prices, which I don’t agree with.
I do not know how to deal with this issue.
A: This is a typical data problem. Data is never exact, so testing and trading is never exact. Commodity continuous contracts are never exact because of this adjustment, but the best you can do is use continuous contract data.
